scientific article

From MaRDI portal
Revision as of 04:35, 5 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:3594586

zbMath1127.91002MaRDI QIDQ3594586

Paul Wilmott

Publication date: 9 August 2007


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Multi-asset Black-Scholes model as a variable second class constrained dynamical systemAPPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICESA MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTIONRisk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated MarketUnnamed ItemOption pricing with Legendre polynomialsDerivation of non-classical stochastic price dynamics equationsHow to escape a declining market: capacity investment or exit?CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSIONOptimal Hedging of American Options in Discrete TimeA self-exciting threshold jump-diffusion model for option valuationStochastic covariance and dimension reduction in the pricing of basket optionsLAPLACE TRANSFORMS AND INSTALLMENT OPTIONSThe shadow costs of repos and bank liability structurePricing Asian options via compound gamma and orthogonal polynomialsClosed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of varianceIMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODSValuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest ratePricing American call options under a hard-to-borrow stock modelA comparison of lattice based option pricing models on the rate of convergenceEndogenous stochastic arbitrage bubbles and the Black-Scholes modelModel uncertainty, recalibration, and the emergence of delta-vega hedgingFunctional Itô calculus, path-dependence and the computation of GreeksQUANTO PRICING IN STOCHASTIC CORRELATION MODELSIterative speedup by utilizing symmetric data in pricing options with two risky assetsLookback option pricing for regime-switching jump diffusion modelsAsymptotic option pricing under the CEV diffusionLaplace transforms of stochastic integrals and the pricing of Bermudan swaptionsOn the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDEA new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian optionRegime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problemClosed-form option pricing for exponential Lévy models: a residue approachA hybrid convolutional neural network with long short-term memory for statistical arbitrageMeshless methods for American option pricing through physics-informed neural networksHISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONSArbitrage risk induced by transaction costsA semi-analytic pricing formula for lookback options under a general stochastic volatility modelPricing American bond options using a penalty methodRemarks on the nonlinear Black-Scholes equations with the effect of transaction costsThe pricing of Quanto options under dynamic correlationA comparison of iterated optimal stopping and local policy iteration for American options under regime switchingA recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusionMathematical model of stock prices via a fractional Brownian motion model with adaptive parametersAsymptotic analysis of shout options close to expiryHedging strategy for a portfolio of options and stocks with linear programmingModelling and Calibration of Stochastic Correlation in FinanceA reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatilityOperator splitting schemes for the two-asset Merton jump-diffusion modelAn upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costsPrice equations with symmetric supply/demand; implications for fat tailsPower penalty approach to American options pricing under regime switchingPDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff FunctionInstallment options close to expiryOptimal hedging in discrete timeSOME PRICING TOOLS FOR THE VARIANCE GAMMA MODELOn a semi-spectral method for pricing an option on a mean-reverting assetHeston model: the variance swap calibrationA genetic estimation algorithm for parameters of stochastic ordinary differential equationsAnalysis of the optimal exercise boundary of American put options with delivery lagsA new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUsAn RLT approach for solving the binary-constrained mixed linear complementarity problemParticle-scale modelling of financial price dynamicsApplying a power penalty method to numerically pricing American bond optionsA semigroup approach to American optionsPricing variable annuity guarantees in a local volatility frameworkOption pricing, stochastic volatility, singular dynamics and constrained path integralsStochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systemsINTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONSExtracting the sovereigns' CDS market hierarchy: a correlation-filtering approachVANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICENumerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUsPricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk ModelPricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motionBENCHOP – The BENCHmarking project in option pricingA versatile approach for stochastic correlation using hyperbolic functionsConvergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility modelBSM model for ML-payoff function through PDTMEstimation of ask and bid prices for geometric Asian optionsThe value of power-related options under spectrally negative Lévy processesPRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATIONTesting diffusion processes for non-stationarityResonance phenomena in option pricing with arbitrageEfficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatilityThe QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfoliosAmerican-type basket option pricing: a simple two-dimensional partial differential equationOn expansions for the Black-Scholes prices and hedge parametersPolynomial chaos for simulating random volatilitiesCombining guaranteed and spot markets in display advertising: selling guaranteed page views with stochastic demandDynamic programming and error estimates for stochastic control problems with maximum costLookback option pricing under the double Heston model using a deep learning algorithmOn the Convexity Correction Approximation in Pricing Volatility Swaps and VIX FuturesAn inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamicsA stochastic local volatility technique for TARN optionsRunning supremum of Brownian motion in dimension 2: exact and asymptotic resultsValuation of European Options Under an Uncertain Market Price of Volatility Risk


Uses Software